📊 성과지표

CAGR CumulativeReturn AnnVol Sharpe MaxDD Calmar
Magic Formula_정상기업 18.73% 573.53% 0.367483 0.509797 -0.074451 2.516298
Magic Formula_전체기업 18.74% 573.97% 0.367442 0.510046 -0.074451 2.517248
EV/EBITDA_정상기업 21.69% 933.03% 0.281153 0.771347 -0.050093 4.329324
EV/EBITDA_전체기업 21.52% 922.2% 0.275117 0.782299 -0.044932 4.789942
Momentum 12m_정상기업 47.91% 7215.65% 0.459557 1.042428 0.000000 0.000000
Momentum 12m_전체기업 47.91% 7215.65% 0.459557 1.042428 0.000000 0.000000
F-score_정상기업 2.93% 24.19% 0.159094 0.184144 -0.161530 0.181367
F-score_전체기업 2.93% 24.19% 0.159094 0.184144 -0.161530 0.181367
QMJ_정상기업 11.08% 199.86% 0.201547 0.549805 -0.022820 4.855813
QMJ_전체기업 10.64% 186.94% 0.204935 0.519048 -0.061302 1.735201
LowVol_정상기업 4.9% 69.33% 0.133236 0.368084 -0.003628 13.518017
LowVol_전체기업 4.9% 69.33% 0.133236 0.368084 -0.003628 13.518017
FF3 Strategy_정상기업 2.52% 17.01% 0.247426 0.101881 -0.351139 0.071789
FF3 Strategy_전체기업 1.96% 11.97% 0.264700 0.073895 -0.347492 0.056289